Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0555
Annualized Std Dev 0.3146
Annualized Sharpe (Rf=0%) -0.1765

Row

Daily Return Statistics

Close
Observations 3575.0000
NAs 1.0000
Minimum -0.1665
Quartile 1 -0.0100
Median 0.0010
Arithmetic Mean 0.0000
Geometric Mean -0.0002
Quartile 3 0.0105
Maximum 0.1062
SE Mean 0.0003
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0006
Variance 0.0004
Stdev 0.0198
Skewness -0.3037
Kurtosis 4.1542

Downside Risk

Close
Semi Deviation 0.0144
Gain Deviation 0.0131
Loss Deviation 0.0147
Downside Deviation (MAR=210%) 0.0191
Downside Deviation (Rf=0%) 0.0144
Downside Deviation (0%) 0.0144
Maximum Drawdown 0.9055
Historical VaR (95%) -0.0316
Historical ES (95%) -0.0468
Modified VaR (95%) -0.0326
Modified ES (95%) -0.0556
From Trough To Depth Length To Trough Recovery
2008-07-15 2020-04-28 NA -0.9055 3194 2968 NA
2007-11-21 2008-01-23 2008-02-19 -0.1133 60 42 18
2007-01-09 2007-01-18 2007-01-31 -0.0974 16 7 9
2008-05-22 2008-06-04 2008-06-06 -0.0893 11 9 2
2007-08-03 2007-08-22 2007-09-12 -0.0816 28 14 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 -1.6 -0.5 -0.9 -0.6 1.2 1 -0.5 0.6 -1.3 -1 -1.4 0 -4.9
2008 -2.4 -0.9 -1 -2.6 0.9 0.9 0.6 -0.2 -2 3.8 -4.5 5.6 -2.2
2009 0.1 -1.1 -1.4 4.1 2.2 -0.8 1.3 -1.6 0.1 -3.2 1 0.1 0.6
2010 2.7 -1 2.3 1 -2.6 -2.6 0.6 2.4 1.8 1.6 3 2.2 11.9
2011 0 2.9 1.4 0.6 -2.6 0 -0.5 -0.1 -4.8 -1.7 0 -0.5 -5.2
2012 -1 1.8 -0.1 1.2 -3.8 7 1.4 1.6 0.5 0.9 1 0.9 11.7
2013 0.2 -0.9 -0.1 -2.4 -1.9 0.8 0.8 -1.3 -0.3 -1 0.6 -0.2 -5.6
2014 -0.8 0.4 -2 -0.5 -0.7 0 -0.4 0.9 -1 -0.2 3.3 0.3 -0.9
2015 7.7 1.5 2.3 0.3 -0.1 -2.8 -2.4 -7.3 -1 1.5 -0.3 0.7 -0.7
2016 -6.9 0.1 -3.7 0 0.7 2 -2.6 -2.5 0.6 0.4 3.4 0.1 -8.6
2017 1.4 -0.3 0.5 -0.7 -0.4 2.5 -1.5 0.5 -0.2 -0.2 1.7 0.2 3.3
2018 1.8 0 0.3 -1.2 -1.3 1 -1.8 -0.3 3.1 -2.5 -1.2 1.8 -0.5
2019 2.4 -1.8 1.6 0 -5.4 2 -5.9 -2.7 -1.2 3.5 -4.3 -0.8 -12.2
2020 -2 -2.8 -3.9 -3.1 1.7 1 0.7 0.7 -2.9 -1.4 -1.4 0.1 -12.7
2021 2.8 -1.7 2.8 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-01-05  24.3 SPY    141. -0.008  -0.0138   -0.0053   0.0417   0.104     0.250    0.203 GLD    60.2 -0.024   -0.0329
2 2007-01-08  24.3 SPY    141.  0.0046 -0.0072   -0.005    0.0445   0.108     0.254    0.200 GLD    60.5  0.0052  -0.0385
3 2007-01-09  24.1 SPY    141. -0.0008 -0.0039   -0.005    0.0449   0.0983    0.249    0.208 GLD    60.8  0.0061  -0.0373
4 2007-01-10  23.1 SPY    142.  0.0033  0.00120   0.0027   0.0477   0.0992    0.248    0.215 GLD    60.6 -0.0043  -0.0271
5 2007-01-11  22.4 SPY    142.  0.0044  0.0035    0.0052   0.0509   0.103     0.265    0.230 GLD    60.6  0.0007  -0.0165
6 2007-01-12  22.8 SPY    143.  0.0076  0.0192    0.0099   0.0602   0.108     0.265    0.234 GLD    62.2  0.0254   0.0332
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart